```Date: Mon, 5 Sep 2005 19:49:29 -0400 Reply-To: Talbot Michael Katz Sender: "SAS(r) Discussion" From: Talbot Michael Katz Subject: Re: Help: Proc Qlim for Heckman model Comments: To: Yz Yu Hi, YZ. You've already gotten some thought-provoking feedback about the Heckman two-step (and if I ever go to a barn dance, I'm going to shout out a request to dance the Heckman Two-Step) from two of the gurus. I have my own complaints about it (it seems that whenever the Mills Ratio variable is significant, it has a positive coefficient, although sometimes the higher propensity subjects have a smaller effect size). If you do want to continue in your quest to dance Heckman with SAS, you have at least two alternatives at your disposal: 1) David Jaeger's macro (http://support.sas.com/ctx/samples/index.jsp? sid=476&re="s/y/PROCS/reg/reg/s/y/PROCS/reg/reg") This requires SAS/STAT and SAS/IML (and Base SAS, natch) to run the whole thing, but both the modeling steps are done with STAT PROCs (PROBIT and REG), with a data step in between to extract the Mills Ratios; the IML portion at the end is just to compute corrected standard errors. 2) PROC QLIM in SAS 9 (http://support.sas.com/onlinedoc/913/docMainpage.jsp). They consider the Heckman models part of the general class of selection models, which is true. So the details section of the PROC QLIM documentation on Selection Models has a bit of the Heckman theory, and there is an example of a Heckman-like model, "Example 22.4: Sample Selection Model" that you can look at. The code is pretty simple: proc qlim data=mroz; model inlf = nwifeinc educ exper expersq age kidslt6 kidsge6 /discrete; model lwage = educ exper expersq / select(inlf=1); run; It's very straightforward to see what it's doing; the first model step is the binary discrete part, the second models the effect when the first dependent variable is 1. So give it a spin (and report back to us if you like, oh intrepid pioneer)! -- TMK -- "The Macro Klutz" On Mon, 5 Sep 2005 14:16:43 -0700, yz yu wrote: >Hello, > >I am trying to use Heckman model. I found that many people mentioned >that the Proc Qlim can do it in SAS 9.1. But I checked the documents for >Proc Qlim and counld not find any detailed information about Heckman >model analysis. Anyone can give me more detailed information about the >Proc Qlim for Heckman? > >Thank you all for your help! > >YZ > > > > >--------------------------------- > Click here to donate to the Hurricane Katrina relief effort. ```

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